基金代码 基金全名 基金简称 基金类型
512530 建信沪深300红利交易型开放式指数证券投资基金 建信沪深300红利ETF 场内基金
012712 建信沪深300红利交易型开放式指数证券投资基金发起式联接基金 建信沪深300红利ETF发起式联接A 场外基金
012713 建信沪深300红利交易型开放式指数证券投资基金发起式联接基金 建信沪深300红利ETF发起式联接C 场外基金

策略参数

参数编号
4a9125e6639f80e8a3105dedf5df4db1
PE权重
0.3
PB权重
0.4
DRY权重
0.3
BB周期
20
BB标准差
2
回测天数
2919
持仓天数
2252
持仓率
77.15 %
年化收益率（不含分红）
6.90 %
夏普比率
0.27
最大回撤
25.88 %
卡玛比率
0.53
索提诺比率
0.34
波动率
15.11 %

策略说明

当前策略为价值防御型估值策略，针对300红利指数设计，该指数包含高股息股票，适合价值投资。回测结果显示，当前策略在年化收益率上达到6.90%，在所有策略中最高，夏普比率为26.86%，Calmar比率为53.21%，均优于其他策略，表明其风险调整后收益表现优秀。最大回撤为25.88%，与其他策略相同，但通过更高的收益弥补了回撤风险。该策略基于长期估值指标，买入和卖出阈值设置合理，操作频率适中，符合中长线投资风格。相比之下，其他策略在收益率或风险调整指标上略有不足，例如一些均衡型或等权重策略收益率较低，而成长型策略可能不完全适合红利指数的价值特性。因此，综合考虑指数特性、策略类型和回测性能，选择当前策略以实现稳健的长期回报。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2016-05-09 4171.2944 buy 23.973373828517115 100000.0
2017-06-26 5432.8302 sell 23.973373828517115 130243.26933145741
2018-06-26 5373.1809 buy 24.23950947407287 130243.2693314574
2020-12-01 6529.7758 sell 24.23950947407287 158278.56236767178
2020-12-14 6169.1257 buy 25.656563030912434 158278.56236767178
2023-05-05 6371.47 sell 25.656563030912434 163470.02165456765
2023-11-08 5451.47 buy 29.9864113082467 163470.02165456765
2024-01-25 5685.44 sell 29.9864113082467 170485.94230835812

策略参数

参数编号
4ba1e1a8b9f4578b8af6252d8d50ce20
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
20
BB标准差
3.0
回测天数
2919
持仓天数
1519
持仓率
52.04 %
年化收益率（不含分红）
8.76 %
夏普比率
0.43
最大回撤
17.59 %
卡玛比率
0.86
索提诺比率
0.46
波动率
12.78 %

策略说明

当前策略在回测中展现出较高的年化收益率和夏普比率，分别为8.76%和43.20%，这表明它在风险调整后的回报方面表现优秀。最大回撤为17.59%，虽不是最低，但结合波动率12.78%来看，风险控制相对合理，适合在300红利指数这种偏向价值股、波动性较低的行业中进行投资。持仓占比超过52%，意味着操作频率较低，符合中长线投资的风格偏好，减少了频繁交易带来的成本和市场冲击。与其他策略相比，该策略在收益率、夏普比率和持仓占比之间取得了良好平衡，而其他策略要么收益率较低、回撤控制不佳，要么持仓占比过低导致操作频繁，不适合长期持有。基于布林线模型的中线估值特点，当前策略在指数数据和操作风格上都更匹配，提供了稳健的投资表现和较低的维护需求，因此是最优选择。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2016-05-06 4165.8743 buy 24.004564900097918 100000.0
2016-06-07 4276.7615 sell 24.004564900097918 102661.79898899011
2016-09-12 4452.3171 buy 23.058060933932605 102661.79898899011
2016-10-19 4544.3755 sell 23.058060933932605 104784.48718567046
2016-12-15 4633.4568 buy 22.614754320288572 104784.48718567046
2017-01-19 4741.017 sell 22.614754320288572 107216.93468331156
2017-04-28 4922.2572 buy 21.782066707792424 107216.93468331156
2017-06-02 5123.0211 sell 21.782066707792424 111589.98734562812
2017-08-11 5372.4394 buy 20.770822905071412 111589.98734562812
2017-08-30 5527.782 sell 20.770822905071412 114816.58097984147
2018-02-07 6207.0142 buy 18.497876318672105 114816.58097984147
2018-05-16 5800.8404 sell 18.497876318672105 107303.22826355642
2018-05-30 5765.662 buy 18.610738587096574 107303.2282635564
2018-07-26 5367.8523 sell 18.610738587096574 99899.69592944508
2018-08-03 5087.0404 buy 19.638077953822634 99899.69592944508
2018-09-25 5329.26 sell 19.638077953822634 104656.42331618881
2018-10-16 4949.99 buy 21.142754493683587 104656.42331618881
2019-01-22 5097.7349 sell 21.142754493683587 107780.15746458266
2019-04-26 5867.6923 buy 18.368406513849177 107780.15746458265
2019-06-12 5702.2806 sell 18.368406513849177 104741.80811683579
2019-08-02 5502.6278 buy 19.034870597069236 104741.80811683579
2019-09-11 5745.8882 sell 19.034870597069236 109372.23835222708
2019-09-30 5544.5293 buy 19.7261539139539 109372.23835222708
2019-11-06 5725.3568 sell 19.7261539139539 112939.26944910258
2019-11-15 5591.4039 buy 20.198732101807664 112939.26944910258
2019-12-20 5776.7599 sell 20.198732101807664 116683.22563656523
2020-01-23 5224.9714 buy 22.33184006262029 116683.22563656524
2020-03-06 5552.3484 sell 22.33184006262029 123994.15644074568
2020-03-12 5390.7337 buy 23.001350714235 123994.15644074568
2020-05-12 5410.9579 sell 23.001350714235 124459.34035786052
2020-05-22 5232.2864 buy 23.786798130519102 124459.34035786052
2020-07-10 6003.3441 sell 23.786798130519102 142800.33421474288
2020-09-09 5853.639 buy 24.395138513793363 142800.33421474288
2020-09-21 5948.8214 sell 24.395138513793363 145122.32204681815
2020-09-24 5776.9133 buy 25.121083615157968 145122.32204681815
2020-11-12 6170.4385 sell 25.121083615157968 155008.10150068993
2020-12-11 6190.6998 buy 25.03886580006511 155008.10150068993
2021-01-11 6308.5172 sell 25.03886580006511 157958.1155682025
2021-03-24 6385.3104 buy 24.737734843431028 157958.1155682025
2021-05-28 6463.1121 sell 24.737734843431028 159882.7533931707
2021-06-15 6282.6487 buy 25.44830389659869 159882.7533931707
2021-09-10 6288.8341 sell 25.44830389659869 160040.1613320927
2021-10-27 5776.6537 buy 27.704648684772764 160040.1613320927
2021-12-10 5840.7965 sell 27.704648684772764 161817.21507175037
2022-03-08 5798.8228 buy 27.905183629986137 161817.21507175037
2022-04-07 6226.2945 sell 27.905183629986137 173745.89135687271
2022-04-25 5779.3315 buy 30.063319841900867 173745.89135687271
2022-06-13 5922.1043 sell 30.063319841900867 178038.11570799645
2022-07-11 5831.4479 buy 30.530687877361718 178038.11570799645
2022-09-08 5773.1314 sell 30.530687877361718 176257.6728483963
2022-09-26 5488.9447 buy 32.11139526481225 176257.6728483963
2022-11-28 5686.1247 sell 32.11139526481225 182589.397766712
2022-12-20 5464.4 buy 33.41435432375229 182589.397766712
2023-01-17 5639.06 sell 33.41435432375229 188425.5488928986
2023-02-16 5532.8 buy 34.05609255583043 188425.54889289863
2023-02-22 5704.52 sell 34.05609255583043 194273.66110658582
2023-03-27 5622.0 buy 34.55596960273672 194273.66110658582
2023-04-06 5744.05 sell 34.55596960273672 198491.21719659984
2023-05-24 5754.5 buy 34.49321699480404 198491.21719659984
2023-08-02 5926.3 sell 34.49321699480404 204417.15187630718
2023-08-21 5696.14 buy 35.886960621808306 204417.15187630718
2024-01-08 5431.01 sell 35.886960621808306 194902.44200664715
2024-03-15 5857.72 buy 33.272748101078086 194902.44200664715